Bibliographic Details
| Title: |
ON ONE LIMIT RELATION FOR COHERENT RISK MEASURES. |
| Authors: |
KONOVALOV, L. A.1 leonid.knv@gmail.com |
| Source: |
Theory of Probability & Its Applications. 2011, Vol. 55 Issue 1, p144-153. 10p. 1 Diagram, 1 Graph. |
| Subjects: |
Investments, Integral theorems, Probability theory, Stock ownership, Standard deviations |
| Abstract: |
The paper is devoted to the investigation of the connection between ordinary and factor risks in a factor model. In particular, it is shown that under certain conditions in the simplest factor model if a number of assets in the portfolio grows, then the difference between these risks tends to a finite number despite that the risks themselves tend to infinity. [ABSTRACT FROM AUTHOR] |
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| Database: |
Engineering Source |
